BB EUROPEAN OPPORTUNITIES FUND

BB EUROPEAN OPPORTUNITIES FUND
Sub-fund of Luxembourg domiciled Sicav - Part 1
Fund owner: Bellevue Asset Management
Fund manager/adviser: Bellevue Asset Management
Named portfolio manager/adviser(s):
Achim Wagner (since launch)
Peer group: European Mainstream incl UK
Equities
Location: Zurich
Launch date: September 2009
Fund size (February 2011): €41.2m
Contact group: +41 44 267 67 00 or
www.bellevue.ch
Further information on S&P's fund coverage can be found at
www.FundsInsights.com
Report date April 2011
Standard & Poor's opinion (March 2011)
This fund has been managed by Achim Wagner since its launch in September 2009. Wagner is an
experienced investor who has been a portfolio manager since 1993 and had four years as an
analyst before that.
Investment style
He came to Bellevue Asset Management to launch a hedge fund, but has since closed that offering.
This product is his sole focus. Wagner has some support from two other European manager/
analysts, plus wider group resources, but he always conducts his own work on ideas generated by
team members.
Performance statistics
Launch
Fund
27.4%
Standard & Poor's peer median
17.4%
Index**
19.0%
Fund rank
194/2432
Note: returns are cumulative
This fund is viewed by the manager as a long-only fund with added flexibility that he can use when
conditions allow. The core of the portfolio is invested in a combination of structural growth stocks
and shorter-term, more cyclical names. In addition, there is also the potential for alpha extension
through a long/short portfolio. The inclusion of this in the fund is dependent on the manager finding
short ideas, which are then matched by an appropriate exposure to high-conviction long positions.
This alpha extension could lead to a 130:30 long:short split, but the manager has not yet
approached this level. Finally the manager also has the option of reducing net exposure to 60%.
The portfolio is subject to risk constraints which aim to limit overall risk and to ensure that stock
selection drives returns. This has clearly been the case over the relatively short period since launch,
with particular strength seen in late 2010.
Overall, the combination of an experienced manager and a new, flexible approach results in an S&P
A (New) rating.
Fund manager & team
Calendar year decile ranks
Achim Wagner is the lead portfolio manager for this strategy. He works closely with Miroslav Zuzak
and to a lesser degree with Birgitte Olsen who manages a different European strategy but provides
stock level input.
Wider group resources are also used with selected input taken from the monthly strategy meeting
and the emerging Europe, healthcare, and hedge fund teams, as well as the bank's sell-side
analysts.
Achim Wagner - business management & statistics (University of Trier), started his career in 1989
as an analyst at Deutsche Bank, before moving into a fund management role in 1993. He joined
LODH in 1996 as a European manager before moving to LV Asset Management in 2002. In 2008
he joined Bellevue Asset Management.
Management style
Decile ranking in discrete annual periods. First decile shown
as rank 10, second decile as rank nine, with tenth decile as
rank one.
Performance Data Source - © 2011 Lipper Inc. All rights
reserved. All statistical data on this report has been run to
31 January 2011 on NAV to NAV basis, with gross income
reinvested, in EUR.
This fund aims to outperform its STOXX Europe 600 index by 3% a year, with a tracking error of
less than 6%. A flexible approach is used and the manager will opportunistically move the net
position of the fund within a general range of 60-100%, but it is likely that the portfolio will be close
to 100% invested. There is also the opportunity for alpha extension up to the 130:30 (long versus
short) levels. This is mainly determined by the availability of strong short ideas, which for individual
stocks are actioned through CFDs. Conviction long positions will then be increased accordingly.
Stock selection on the long side starts with various filters to reduce the universe due to liquidity,
balance-sheet risks and communication with investors. Long-term structural growth stocks are
sought (with marginal ROIC greater than WACC), but valuations must be reasonable, while more
cyclical names will also be bought with a shorter time frame. Normalised EBIT margins and ROIC
are key measures in the latter case.
Risk controls are in place including a maximum +/-5% industry deviation (except banks) and a
maximum +3% active stock weighting. A maximum of 80 names will be held (60 long, 20 short).
Please see page three for required research analyst
certification disclosure.
BB EUROPEAN OPPORTUNITIES FUND
Sub-fund of Luxembourg domiciled Sicav - Part 1
Fund owner: Bellevue Asset Management
Fund manager/adviser: Bellevue Asset Management
Portfolio & performance analysis (February 2011)
The portfolio currently has no exposure on the short side, as the manager reduced portfolio risk in
January 2011. The net market exposure position is 100%. At the sector level deviations from index
have also been decreased, with overweights now including IT (+4.0%), consumer discretionary
(+5.5%) and materials (+3.1%). The largest underweights are to utilities (-4.0%), consumer staples
(-3.3%) and energy (-3.2%).
Portfolio characteristics
(1 February 2011)
Relative to index the fund shows a bias to mid- and small-cap names, while Style Research shows
a bias towards earnings revisions.
Over the course of the past year there has been a clear move towards consumer discretionary and
industrials, both of which have moved from underweights to overweights. Names added include
Autoliv, Fiat and Ipsos. Consumer staples and energy have been the main source of funds.
We only have limited past performance data for this fund, given its launch date of September 2009.
Returns over this period have, however, been strong relative to mainstream Europe incl UK funds
and the benchmark. Given the greater flexibility available to this fund manager compared to the peer
group, we would expect the fund to show above-median returns and it has clearly achieved this
during 2010.
No. of holdings
60
Turnover ratio (%)
% in top 10
100
25
Asset allocation
%
Against the benchmark, attribution since inception shows a good level of outperformance, with
almost all of this being derived from stock selection. Selection has been strong across IT,
healthcare, consumer discretionary, consumer staples and telecoms. At the stock level, Infineon
was the strongest contributor, followed by Novo Nordisk, BMW, Software and Autoliv.
Consumer discretionary
12.7
Consumer staples
12.1
By way of a longer-term track record, the manager was involved in the management of the LV Asset
Management European ex UK Growth fund between 2003 and 2007. That fund had a strong track
record over this period.
Health care
6.4
Industrials
12.9
Energy
5.7
Financials
21.3
Information technology
Materials
Cumulative performance
6.6
14.1
Telecoms
5.7
Utilities
1.3
Cash
1.2
Top 10 holdings
%
Royal Dutch
3.4
Rio Tinto
3.0
Vodafone
2.6
ING Groep
2.4
Infineon Technologies
2.3
Repsol
2.3
Sberbank
2.2
BNP Paribas
2.2
Allianz
2.2
BMW
2.1
* In top 10 holdings a year ago
Discrete performance (calendar years)
%
Fund
Index**
Median
4.3
1.3
Rank
/
%
-42.8
-43.9
** S&P Europe 350 EUR
Fund benchmark: STOXX Europe 600 TR
Share class screened: LU0449548428 (Ord)
1344110414-FMQS|E159
Rank
/
%
31.9
29.5
Rank
/
2010
%
Rank
19.6
293/2513
10.3
11.1
YTD 31/01/2011
%
Rank
1.1 1341/2703
2.2
1.1
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Symbols and definitions
Long-only fund ratings
AAA The fund demonstrates the highest standards of quality in its sector based on its investment process and management's consistency of performance as compared to funds with similar objectives.
AA The fund demonstrates very high standards of quality in its sector based on its investment process and management's consistency of performance as compared to funds with similar objectives.
A The fund demonstrates high standards of quality in its sector based on its investment process and management's consistency
of performance as compared to funds with similar objectives.
Fund-of-hedge-funds ratings
Absolute return fund ratings
Specialist fund ratings
AAA The fund demonstrates the highest standards of quality based on its investment process, risk awareness and consistency of
performance relative to its own objectives.
AA The fund demonstrates very high standards of quality based on its investment process, risk awareness and consistency of
performance relative to its own objectives.
A The fund demonstrates high standards of quality based on its investment process, risk awareness and consistency of performance relative to its own objectives.
Ucits III flexible beta fund ratings
AAA The fund demonstrates the highest standards of quality based on its investment process, risk awareness and consistency
relative to its own objectives and relative to comparable flexible beta funds.
AA The fund demonstrates very high standards of quality based on its investment process, risk awareness and consistency relative to its own objectives and relative to comparable flexible beta funds.
A The fund demonstrates high standards of quality based on its investment process, risk awareness and consistency relative to
its own objectives and relative to comparable flexible beta funds.
All fund ratings
Not Rated (NR) Funds designated as Not Rated currently do not meet the requisite performance standards and/or the minimum
qualitative criteria to achieve a fund rating.
Under Review (UR) Ratings are placed Under Review when significant management changes occur at the fund manager or fund
management team level and Standard & Poor's Fund Services has not had the opportunity yet to evaluate their impact on the
qualitative appraisal.
(New) Signifies where a major event has occurred for which there is no fund-specific track record available. This includes: funds
recently launched, the implementation of a new investment process or mandate and may include structural changes within a fund
team.
Tenure Review (TR) The fund manager/team involved in the management of the fund does not currently have the minimum 12
months' relevant investment management experience required to be eligible to be considered for a rating.
Long-term fund management rating LTFMR The fund has been rated in the A/AA/AAA fund rating band for five consecutive years
or more, and continues to hold a rating.
Bond fund volatility ratings
The bond fund volatility rating is our current opinion of a fund's sensitivity to changing market conditions. Volatility ratings evaluate
the fund's sensitivity to interest rate movement, credit risk, investment diversification or concentration, liquidity, leverage and other
factors. For V1-V4 categories, risk is considered relative to a portfolio composed of government securities and denominated in the
base currency of the fund.
V1 Bond funds that possess low sensitivity to changing market conditions. These funds possess an aggregate level of risk that is
less than or equal to that of a portfolio comprising government securities maturing within one to three years, and denominated in
the base currency of the fund. These funds possess an aggregate level of risk that is less than or equal to that of a portfolio comprising the highest quality fixed income instruments with an average maturity of 12 months or less. Within this category, certain
funds are designated with a plus sign (+), indicating extremely low sensitivity to changing market conditions.
V2 Bond funds that possess low to moderate sensitivity to changing market conditions. These funds possess an aggregate level
of risk that is less than or equal to that of a portfolio comprising government securities maturing within three to seven years, and
denominated in the base currency of the fund.
V3 Bond funds that possess moderate sensitivity to changing market conditions. These funds possess an aggregate level of risk
that is less than or equal to that of a portfolio comprising government securities maturing within seven to 10 years, and denominated in the base currency of the fund.
V4 Bond funds that possess moderate to high sensitivity to changing market conditions. These funds possess an aggregate level
of risk that is less than or equal to that of a portfolio comprising government securities maturing beyond 10 years and denominated
in the base currency of the fund.
V5 Bond funds that possess high sensitivity to changing market conditions. These funds may be exposed to a variety of significant
risks including high concentration risks, high leverage, and investments in complex structured and/or less liquid securities.
V6 Bond funds that possess the highest sensitivity to changing market conditions. These funds include those with highly speculative investment strategies with multiple forms of significant risks, with little or no diversification benefits.
Absolute return fund N ratings
The N rating is Standard & Poor's indication of a fund's potential capital stability in normal markets. It is a qualitative rating but is
based on annualised weekly downside deviation. N1 is the most stable and N9 the least.